Derivative and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Financial Instruments

The following tables set forth information regarding the Company’s derivative financial instruments:

	March 31, 2023
			Fair Value
(in millions)	Notional Amount		Other Assets		Other Liabilities
Derivatives designated as cash flow hedging instruments:
Interest rate swap on FHLB advances	$	5,500	$	—	$	7
Total	$	5,500	$	—	$	7
Derivatives designated as fair value hedging instruments:
Interest rate swap on multi-family loans held for investment	$	2,000	$	—	$	2
Derivatives not designated as hedging instruments:
Assets
Futures	$	—			$	—
Mortgage-backed securities forwards	542		5		—
Rate lock commitments	1,759		15		—
Interest rate swaps and swaptions	7,522		159		—
Total	$	9,823	$	179	$	—
Liabilities
Mortgage-backed securities forwards	$	1,466	$	—	$	14
Rate lock commitments	218		—		7
Interest rate swaps and swaptions	2,247		—		49
Total derivatives not designated as hedging instruments	$	3,931	$	—	$	70

	December 31, 2022
			Fair Value
(in millions)	Notional Amount		Other Assets		Other Liabilities
Derivatives designated as cash flow hedging instruments:
Interest rate swap	$	3,750	$	5	$	—
Total	$	3,750	$	5	$	—
Derivatives not designated as hedging instruments:
Assets
Futures	$	1,205	$	2	$	—
Mortgage-backed securities forwards	1,065		36		—
Rate lock commitments	1,539		9		—
Interest rate swaps and swaptions	7,594		182		—
Total	$	11,403	$	229	$	—
Liabilities
Mortgage-backed securities forwards	$	739	$	—	$	61
Rate lock commitments	527		—		10
Interest rate swaps and swaptions	2,445		—		65
Total derivatives not designated as hedging instruments	$	3,711	$	—	$	136

Schedule of Derivatives Subject to a Master Netting Arrangement

The following table presents the derivative subject to a master netting agreement, including the cash pledged as collateral:

	March 31, 2023
							Gross Amounts Not Offset in the Statements of Condition
(in millions)	Gross Amount		Gross Amounts Netted in the Statements of Condition		Net Amount Presented in the Statements of Condition		Financial Instruments		Cash Collateral Pledged (Received)
Derivatives designated hedging instruments:
Interest rate swaps on FHLB advances	$	7	$	—	$	7	$	—	$	96
Interest rate swaps on multi-family loans held for investment(1)	$	2	$	—	$	2	$	—	$	35
Derivatives not designated as hedging instruments:
Assets
Mortgage-backed securities forwards	$	5	$	—	$	5	$	—	$	(3)
Interest rate swaptions	159		—		159		—		(24)
Futures	—		—		—		—		—
Total derivative assets	$	164	$	—	$	164	$	—	$	(27)
Liabilities
Futures	$	1	$	—	$	1	$	—	$	3
Mortgage-backed securities forwards	14		—		14		—		8
Interest rate swaps (1)	49		—		49		—		44
Total derivative liabilities	$	64	$	—	$	64	$	—	$	55

(1)Variation margin pledged to, or received from, a Central Counterparty Clearing House to cover the prior days fair value of open positions is considered settlement of the derivative position for accounting purposes.

The following table presents the derivative subject to a master netting agreement, including the cash pledged as collateral:

	December 31, 2022
							Gross Amounts Not Offset in the Statements of Condition
(in millions)	Gross Amount		Gross Amounts Netted in the Statements of Condition		Net Amount Presented in the Statements of Condition		Financial Instruments		Cash Collateral Pledged (Received)
Derivatives designated hedging instruments:
Interest rate swaps on FHLB advances	$	5	$	—	$	5	$	4	$	27
Derivatives not designated as hedging instruments:
Assets
Mortgage-backed securities forwards	$	36	$	—	$	36	$	—	$	(9)
Interest rate swaptions	182		—		182		—		(36)
Futures	2				2				1
Total derivative assets	$	220	$	—	$	220	$	—	$	(44)
Liabilities
Mortgage-backed securities forwards	$	61	$	—	$	61	$	—	$	54
Interest rate swaps (1)	65		—		65		—		29
Total derivative liabilities	$	126	$	—	$	126	$	—	$	83

(1)Variation margin pledged to, or received from, a Central Counterparty Clearing House to cover the prior days fair value of open positions is considered settlement of the derivative position for accounting purposes.

Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)

The following table presents the effect of the Company’s cash flow derivative instruments on AOCL:

(in millions)	For the Three Months Ended March 31, 2023		For the Year Ended December 31, 2022		For the Three Months Ended March 31, 2022
Amount of loss recognized in AOCL	$	(90)	$	88	$	16
Amount of reclassified from AOCL to interest expense	$	(6)	$	(4)	$	6

Schedule of Net Gain (Loss) Recognized in Income on Derivative Instruments

The following table presents the net gain (loss) recognized in income on derivative instruments, net of the impact of offsetting positions:

(dollars in millions)		For the Three Months Ended March 31, 2023		For the Three Months Ended December 31, 2022
Derivatives not designated as hedging instruments	Location of Gain (Loss)
Futures	Net return on mortgage servicing rights	$	(2)	$	(1)
Interest rate swaps and swaptions	Net return on mortgage servicing rights	7		(11)
Mortgage-backed securities forwards	Net return on mortgage servicing rights	(2)		(4)
Rate lock commitments and US Treasury futures	Net gain on loan sales	20		28
Forward commitments	Other noninterest income	—		(1)
Interest rate swaps (1)	Other noninterest income	—		—
Total derivative (loss) gain		$	23	$	11

(1) Includes customer-initiated commercial interest rate swaps.